Kishor S. Trivedi
Visiting Professor
Dept. of Computer Science and Engineering
Indian Institute of Technology, Kanpur
What is a Stochastic Process?
Stochastic Process: is a family of random variables
{X(t) | t T} (T is an index set; it may be discrete or
continuous)
Values assumed by X(t) are called states.
State space (I): set of all possible states
Sometimes called a random process or a chance
process
Stochastic Process Characterization
At a fixed time t=t1, we have a random variable X(t1).
Similarly, we have X(t2), .., X(tk).
X(t1) can be characterized by its distribution function,
D: Deterministic
G: General distribution
Nk
k
Discrete
Continuous Time, Discrete Space
X(t): Number of jobs in the system at time t. {X(t) | t T} forms a
continuous-time, discrete-state stochastic process, with,
X(t)
Continuous
Discrete Time, Continuous Space
Wk: waiting time for the kth job. Then {Wk | k T} forms a Discrete-time,
Continuous-state stochastic process, where,
Wk
Discrete k
Continuous Time, Continuous Space
Y(t): total service time for all jobs in the system at time t. Y(t)
forms a continuous-time, continuous-state stochastic process,
Where,
Y(t)
t
Further Classification
Since,
The uncond. pmf
Generalizing the Poisson Process
Poisson Process
Non-Homogeneous Poisson
Process (NHPP)
Non-Homogeneous Poisson
Process (NHPP)
If the expected number of events per unit time, l, changes with
age (time), we have a non-homogeneous Poisson model. We
assume that:
1. If 0 t, the pmf of N(t) is given by:
PN t k mt / k!em t k 0, 1, 2, ...
k
Operating Restoration
Time
Where:
Failure times T1, T2, are mutually independent with
a common distribution function W
Restoration times D1, D2, are mutually independent
with a common distribution function G
The sequences {Tn} and {Dn} are independent
Availability Analysis
Availability: is defined is the ability of a system to
provide the desired service.
If no repair/replacement,Availability(t)=Reliability(t)
If repairs are possible, then above is pessimistic.
MTBF
T1 D1 T2 D2 T3 D3 T4 D4 .
x t
0 x x+dx t
Renewed life time >= (t-x)
However,
Availability, MTTF and MTTR
Steady state availability A is:
Non-Homogeneous
Continuous Time Semi-Markov
Markov Chain Process
Markov Regenerative
Process